cpss {cpss}

cpss: Change-Point Detection by Sample-Splitting Methods

Description

Implements multiple change searching algorithms for a variety of frequently considered parametric change-point models. In particular, it integrates a criterion proposed by Zou, Wang and Li (2020) doi:10.1214/19-AOS1814 to select the number of change-points in a data-driven fashion. Moreover, it also provides interfaces for user-customized change-point models with one's own cost function and parameter estimation routine.

Getting started

Easy to get started with the cpss.* set of functions by accessing their documentation pages
library(cpss)
?cpss.mean
?cpss.var
?cpss.meanvar
?cpss.glm
?cpss.lm
?cpss.em
?cpss.custom